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Oil and the Macroeconomy: A Markov State-Switching Approach

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Cited by:

  1. Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2017. "The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis," African Development Review, African Development Bank, vol. 29(2), pages 319-336, June.
  2. Chen, Lemeng & Lazrak, Skander & Wang, Yan & Welch, Robert, 2019. "Pure momentum is priced," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 75-89.
  3. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346, March.
  4. Jamie L. Cross & Chenghan Hou & Bao H. Nguyen, 2018. "On the China factor in international oil markets: A regime switching approach," Working Papers No 11/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  5. Engemann, Kristie M. & Kliesen, Kevin L. & Owyang, Michael T., 2011. "Do Oil Shocks Drive Business Cycles? Some U.S. And International Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 498-517, November.
  6. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
  7. Trimbur, Thomas M., 2010. "Stochastic level shifts and outliers and the dynamics of oil price movements," International Journal of Forecasting, Elsevier, vol. 26(1), pages 162-179, January.
  8. Melike Bildirici & Özgür Ömer Ersin, 2014. "Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 108-135, October.
  9. Oreste Napolitano, 2009. "Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?," STUDI ECONOMICI, FrancoAngeli Editore, vol. 0(97), pages 145-180.
  10. Raheem, Ibrahim & Olabisi, Nafisat, 2019. "What is new? The role of asymmetry and breaks in oil price–output growth volatility nexus," MPRA Paper 105361, University Library of Munich, Germany.
  11. Rebeca Jiménez-Rodríguez, 2004. "Oil Price Shocks: Testing for Non-linearity," CSEF Working Papers 115, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  12. Oleg Korenok & Stanislav Radchenko, 2006. "The role of permanent and transitory components in business cycle volatility moderation," Empirical Economics, Springer, vol. 31(1), pages 217-241, March.
  13. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
  14. Laure Crusson & Muriel Barlet, 2009. "Quel impact des variations du prix du pétrole sur la croissance française ?," Économie et Prévision, Programme National Persée, vol. 188(2), pages 23-41.
  15. Chen, Shan & Insley, Margaret, 2012. "Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 201-219.
  16. Ronald MacDonald & Jun Nagayasu, 2013. "Currency forecast errors at times of low interest rates: evidence from survey data on the Yen/Dollar exchange rate," Working Papers 1321, University of Strathclyde Business School, Department of Economics.
  17. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
  18. Leduc, Sylvain & Sill, Keith, 2004. "A quantitative analysis of oil-price shocks, systematic monetary policy, and economic downturns," Journal of Monetary Economics, Elsevier, vol. 51(4), pages 781-808, May.
  19. Bouoiyour, Jamal & Selmi, Refk & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2015. "The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis," Energy Economics, Elsevier, vol. 51(C), pages 54-66.
  20. Andreopoulos Spyros, 2009. "Oil Matters: Real Input Prices and U.S. Unemployment Revisited," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-31, March.
  21. Ping Chen & Hailiang Yang, 2010. "Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(2), pages 125-141, March.
  22. James D. Hamilton, 2013. "Oil prices, exhaustible resources and economic growth," Chapters, in: Roger Fouquet (ed.), Handbook on Energy and Climate Change, chapter 1, pages 29-63, Edward Elgar Publishing.
  23. Nagayasu, Jun, 2014. "The forward premium puzzle and the Euro," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 436-451.
  24. Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2017. "Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?," Applied Economics, Taylor & Francis Journals, vol. 49(18), pages 1774-1793, April.
  25. Nurmakhanova Mira, 2016. "Oil and Growth Challenge in Kazakhstan," EERC Working Paper Series 16/06e, EERC Research Network, Russia and CIS.
  26. Wencong, Lu & Kasimov, Ikboljon & Saydaliev, Hayot Berk, 2023. "Foreign direct investment and renewable energy: Examining the environmental Kuznets curve in resource-rich transition economies," Renewable Energy, Elsevier, vol. 208(C), pages 301-310.
  27. Gallo, Andres & Mason, Paul & Shapiro, Steve & Fabritius, Michael, 2010. "What is behind the increase in oil prices? Analyzing oil consumption and supply relationship with oil price," Energy, Elsevier, vol. 35(10), pages 4126-4141.
  28. Andrew Haughwout & Robert Inman & Steven Craig & Thomas Luce, 2004. "Local Revenue Hills: Evidence from Four U.S. Cities," The Review of Economics and Statistics, MIT Press, vol. 86(2), pages 570-585, May.
  29. Molyneaux, Lynette & Brown, Colin & Foster, John & Wagner, Liam, 2016. "Resilience, coal and the macroeconomy," MPRA Paper 74516, University Library of Munich, Germany.
  30. Daniel, Betty C. & Hafner, Christian M. & Simar, Léopold & Manner, Hans, 2019. "Asymmetries In Business Cycles And The Role Of Oil Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 23(4), pages 1622-1648, June.
  31. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.
  32. Nelson, Charles R & Piger, Jeremy & Zivot, Eric, 2001. "Markov Regime Switching and Unit-Root Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 404-415, October.
  33. Hammoudeh, Shawkat & Bhar, Ramaprasad & Thompson, Mark A., 2010. "Re-examining the dynamic causal oil-macroeconomy relationship," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 298-305, September.
  34. Fardous Alom, 2014. "Oil Price-Macroeconomic Relationship in Australia and New Zealand: Application of a Hidden Cointegration Technique," Institutions and Economies (formerly known as International Journal of Institutions and Economies), Faculty of Economics and Administration, University of Malaya, vol. 6(2), pages 105-128, July.
  35. Rebeca Jiménez-Rodríguez, 2009. "Oil Price Shocks and Real GDP Growth: Testing for Non-linearity," The Energy Journal, , vol. 30(1), pages 1-24, January.
  36. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  37. Claudio Morana, 2013. "The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  38. Bilgili, Faik & Tülüce, Nadide Sevil Halıcı & Doğan, İbrahim, 2012. "The determinants of FDI in Turkey: A Markov Regime-Switching approach," Economic Modelling, Elsevier, vol. 29(4), pages 1161-1169.
  39. Juan Carlos Cuestas & Paulo Jose Regis, 2008. "Nonlinearities and the order of integration of oil prices," NBS Discussion Papers in Economics 2008/15, Economics, Nottingham Business School, Nottingham Trent University.
  40. Kilian, Lutz & Vigfusson, Robert J., 2009. "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," CEPR Discussion Papers 7284, C.E.P.R. Discussion Papers.
  41. Xavier Labandeira & Baltazar Manzano, 2012. "Some Economic Aspects of Energy Security," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 47-64.
  42. Ramón Cobo-Reyes & Gabriel Pérez Quirós, 2005. "The effect of oil price on industrial production and on stock returns," ThE Papers 05/18, Department of Economic Theory and Economic History of the University of Granada..
  43. Shiferaw, Y., 2018. "The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 275991, International Association of Agricultural Economists.
  44. Tang, Yusui & Ma, Feng, 2023. "The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching," Resources Policy, Elsevier, vol. 83(C).
  45. Alom, Fardous, 2011. "Economic Effects of Oil and Food Price Shocks in Asia and Pacific Countries: An Application of SVAR Model," 2011 Conference, August 25-26, 2011, Nelson, New Zealand 115346, New Zealand Agricultural and Resource Economics Society.
  46. Patrice Guillotreau & Frédéric Lantz & Lesya Nadzon & Jonathan Rault & Olivier Maury, 2023. "Price Transmission between Energy and Fish Markets: Are Oil Rates Good Predictors of Tuna Prices?," Marine Resource Economics, University of Chicago Press, vol. 38(1), pages 29-46.
  47. Maud Korley & Evangelos Giouvris, 2022. "The Impact of Oil Price and Oil Volatility Index (OVX) on the Exchange Rate in Sub-Saharan Africa: Evidence from Oil Importing/Exporting Countries," Economies, MDPI, vol. 10(11), pages 1-29, November.
  48. Thomas Walther & Lanouar Charfeddine & Tony Klein, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," Working Papers on Finance 1816, University of St. Gallen, School of Finance.
  49. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei.
  50. James D. Hamilton, 2012. "Oil Prices, Exhaustible Resources, and Economic Growth," NBER Working Papers 17759, National Bureau of Economic Research, Inc.
  51. Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
  52. Onur POLAT, 2018. "The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
  53. Oleg Korenok & Bruce Mizrach & Stan Radchenko, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Departmental Working Papers 200405, Rutgers University, Department of Economics.
  54. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  55. repec:zbw:rwirep:0431 is not listed on IDEAS
  56. Jinghua Wang & Geoffrey Ngene, 2018. "Symmetric and asymmetric nonlinear causalities between oil prices and the U.S. economic sectors," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 199-218, July.
  57. Vasif ABİYEV & Reşat CEYLAN & Munise ILIKKAN ÖZGÜR, 2015. "The Effects of Oil Price Shocks on Transitional Dynamics of Turkish Business Cycle," Sosyoekonomi Journal, Sosyoekonomi Society, issue 23(25).
  58. Bouoiyour, Jamal & Selmi, Refk & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2015. "The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis," Energy Economics, Elsevier, vol. 51(C), pages 54-66.
  59. Taylor, Andrew & Shepherd, David & Duncan, Stephen, 2005. "The structure of the Australian growth process: A Bayesian model selection view of Markov switching," Economic Modelling, Elsevier, vol. 22(4), pages 628-645, July.
  60. Muellbauer, John & Nunziata, Luca, 2001. "Credit, the Stock Market and Oil: Forecasting US GDP," CEPR Discussion Papers 2906, C.E.P.R. Discussion Papers.
  61. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics.
  62. Juan Reboredo, 2010. "Nonlinear effects of oil shocks on stock returns: a Markov-switching approach," Applied Economics, Taylor & Francis Journals, vol. 42(29), pages 3735-3744.
  63. Alasdair Crockett, 2000. "Variations in Churchgoing Rates in England in 1851: Supply-side Deficiency or Demand-led Decline?," Economics Series Working Papers 2000-W36, University of Oxford, Department of Economics.
  64. Patrick Vanhoudt, 1999. "Did the European unification induce economic growth? In search of scale effects and persistent changes," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(2), pages 193-220, June.
  65. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
  66. Ferreiro Javier Ojea, 2019. "Structural change in the link between oil and the European stock market: implications for risk management," Dependence Modeling, De Gruyter, vol. 7(1), pages 53-125, January.
  67. Nouira, Ridha & Hadj Amor, Thouraya & Rault, Christophe, 2019. "Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 159-171.
  68. Luís Francisco Aguiar-Conraria & Maria Joana Soares, 2007. "Using cross-wavelets to decompose the time-frequency relation between oil and the macroeconomy," NIPE Working Papers 16/2007, NIPE - Universidade do Minho.
  69. Pierre-Yves Hénin & Pape N. Diaye, 2001. "L'effet des politiques budgétaires sur l'activité : une fonction des conditions conjoncturelles et du régime budgétaire ?," Economie & Prévision, La Documentation Française, vol. 147(1), pages 73-88.
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  71. Gómez-Loscos, Ana & Montañés, Antonio & Gadea, M. Dolores, 2011. "The impact of oil shocks on the Spanish economy," Energy Economics, Elsevier, vol. 33(6), pages 1070-1081.
  72. Bhar, Ramaprasad & Hammoudeh, Shawkat, 2011. "Commodities and financial variables: Analyzing relationships in a changing regime environment," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 469-484, October.
  73. Ana Gómez-Loscos & Mar𨀠 Dolores Gadea & Antonio Montañ鳠, 2012. "Economic growth, inflation and oil shocks: are the 1970s coming back?," Applied Economics, Taylor & Francis Journals, vol. 44(35), pages 4575-4589, December.
  74. Ahmed, Maruf Yakubu & Sarkodie, Samuel Asumadu, 2021. "COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility," Resources Policy, Elsevier, vol. 74(C).
  75. Cross, Jamie L. & Hou, Chenghan & Nguyen, Bao H., 2021. "On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee ," Energy Economics, Elsevier, vol. 95(C).
  76. Lescaroux, François, 2008. "Une revue interprétée des élasticités entre le PIB et le prix du pétrole," L'Actualité Economique, Société Canadienne de Science Economique, vol. 84(4), pages 415-447, Décembre.
  77. Malik, Farooq & Nasereddin, Mahdi, 2006. "Forecasting output using oil prices: A cascaded artificial neural network approach," Journal of Economics and Business, Elsevier, vol. 58(2), pages 168-180.
  78. Spezia, Luigi, 2020. "Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method," Computational Statistics & Data Analysis, Elsevier, vol. 143(C).
  79. Troster, Victor & Shahbaz, Muhammad & Uddin, Gazi Salah, 2018. "Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis," Energy Economics, Elsevier, vol. 70(C), pages 440-452.
  80. Qin Xiao & Randolph Gee Kwang Tan, 2006. "Markov-switching Unit Root Test: A study of the Property Price Bubbles in Hong Kong and Seoul," Economic Growth Centre Working Paper Series 0602, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  81. MacDonald, Ronald & Nagayasu, Jun, 2015. "Currency forecast errors and carry trades at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 1-19.
  82. Azer Dilanchiev & Bobur Urinov & Sugra Humbatova & Gunay Panahova, 2024. "Catalyzing climate change mitigation: investigating the influence of renewable energy investments across BRICS," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-32, June.
  83. Mark J. Holmes & Maghrebi Nabil, 2002. "Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets," International Economic Journal, Taylor & Francis Journals, vol. 16(4), pages 121-139.
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  85. Raheem, Ibrahim D. & Bello, Ajide Kazeem & Agboola, Yusuf H., 2020. "A new insight into oil price-inflation nexus," Resources Policy, Elsevier, vol. 68(C).
  86. Min, Hong-Ghi & Lee, Duk-Hee & Nam, Changi & Park, Myeong-Cheol & Nam, Sang-Ho, 2003. "Determinants of emerging-market bond spreads: Cross-country evidence," Global Finance Journal, Elsevier, vol. 14(3), pages 271-286, December.
  87. Marc D. Weidenmier & Joseph H. Davis & Roger Aliaga-Diaz, 2008. "Is Sugar Sweeter at the Pump? The Macroeconomic Impact of Brazil's Alternative Energy Program," NBER Working Papers 14362, National Bureau of Economic Research, Inc.
  88. Baltasar Manzano & Luis Rey, 2012. "The Welfare Cost of Energy Insecurity," Working Papers fa07-2012, Economics for Energy.
  89. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
  90. Joscha Beckmann & Robert Czudaj, 2013. "Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?," Ruhr Economic Papers 0431, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  91. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi & Lyes Koliai, 2013. "Does Monetary Policy Respond to Commodity Price Shocks?," Post-Print hal-01511915, HAL.
  92. Spyros Andreopoulos, 2006. "The real interest rate, the real oil price, and US unemployment revisited," Bristol Economics Discussion Papers 06/592, School of Economics, University of Bristol, UK.
  93. Paunić, Alida, 2016. "Solar Australia," MPRA Paper 71201, University Library of Munich, Germany.
  94. Stanislav Radchenko, 2004. "Anticipated and unanticipated effects of crude oil prices and oil inventory changes on gasoline prices," Microeconomics 0406001, University Library of Munich, Germany.
  95. Vasif Abiyev & Reşat Ceylan & Munise Ilıkkan Özgür, 2015. "The Effects of Oil Price Shocks on Turkish Business Cycle: A Markov Switching Approach," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 8(2), pages 7-18, October.
  96. Paunić, Alida, 2016. "A Model of Sustainable Growth with Renewables( Wind, CS, Algae) in Africa Europe Relation," MPRA Paper 74515, University Library of Munich, Germany.
  97. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Valuing commodity options and futures options with changing economic conditions," Economic Modelling, Elsevier, vol. 51(C), pages 524-533.
  98. Julien Chevallier, 2013. "Price relationships in crude oil futures: new evidence from CFTC disaggregated data," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 15(2), pages 133-170, April.
  99. Chen, Ping & Yam, S.C.P., 2013. "Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 871-883.
  100. Manera, Matteo & Cologni, Alessandro, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis," International Energy Markets Working Papers 12121, Fondazione Eni Enrico Mattei (FEEM).
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